This paper provides new empirical evidence for intraday scaling behavior of stock market returns utilizing a 5 min stock market index (the Dow Jones Industrial Average) from the New York Stock Exchange. It is shown that the return series has a multifractal nature during the day. In addition, we show
β¦ LIBER β¦
Intraday dynamics of volatility and duration: Evidence from Chinese stocks
β Scribed by Chun Liu; John M. Maheu
- Book ID
- 116816969
- Publisher
- Elsevier Science
- Year
- 2012
- Tongue
- English
- Weight
- 486 KB
- Volume
- 20
- Category
- Article
- ISSN
- 0927-538X
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